Is it possible to create a GIF with sound effects?

Unfortunately no! Sorry :(

The GIF is a very simple image format and does not, and will not, support sound in any way.

If you need to make an animation with sound, you'll have to create a video for that. You can use .avi, .mp4, or .webm formats for this feature, or set up a web page where the .GIF is played at the same time as the audio file.